Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 10 | 9 |
| Score | 4.98 | 9.77 | 7.26 |
| Market Cap (Millions USD) | 4687.05 | 4978.55 | 4683.5 |
| Predicted Beta | 0.66 | 0.65 | 0.65 |
| Idiosyncratic Volatility | 2.89 | 3 | 3.55 |
Annualized return and volatility
| IYR | |
|---|---|
| Annualized Return | 0.0954 |
| Annualized Std Dev | 0.2636 |
| Annualized Sharpe (Rf=0%) | 0.3617 |
Row
Daily Return Statistics
| IYR | |
|---|---|
| Observations | 4995.0000 |
| NAs | 119.0000 |
| Minimum | -0.2061 |
| Quartile 1 | -0.0053 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1633 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | 0.0149 |
| Kurtosis | 21.0176 |
Downside Risk
| IYR | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0132 |
| Loss Deviation | 0.0140 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.7413 |
| Historical VaR (95%) | -0.0206 |
| Historical ES (95%) | -0.0395 |
| Modified VaR (95%) | -0.0197 |
| Modified ES (95%) | -0.0197 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2009-03-06 | 2013-04-10 | -0.7413 | 1579 | 535 | 1044 |
| 2004-04-02 | 2004-05-10 | 2004-08-31 | -0.1884 | 106 | 27 | 79 |
| 2013-05-22 | 2013-08-19 | 2014-06-05 | -0.1853 | 269 | 63 | 206 |
| 2002-04-15 | 2002-10-09 | 2003-05-20 | -0.1838 | 284 | 127 | 157 |
| 2015-01-27 | 2016-02-11 | 2016-05-06 | -0.1710 | 329 | 269 | 60 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYR | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 2.1 | -0.6 | 0.0 | 0.4 | 0.1 | 0.0 | 2.0 |
| 2001 | 0.1 | 0.1 | 0.0 | 0.1 | 0.1 | 0.0 | 0.4 | 0.0 | -2.2 | 1.9 | 0.0 | 0.0 | 0.6 |
| 2002 | 0.4 | 1.0 | 0.1 | 0.8 | 0.0 | -0.6 | -1.4 | 0.0 | -0.3 | 0.6 | 0.0 | 0.0 | 0.6 |
| 2003 | 0.0 | 0.0 | 1.7 | 0.9 | 0.0 | 1.2 | -0.4 | 0.0 | 0.7 | 0.0 | 1.3 | 0.0 | 5.5 |
| 2004 | 0.0 | 1.7 | 1.2 | 0.0 | -1.1 | 0.2 | 0.0 | -0.3 | 2.3 | 1.0 | 2.1 | 0.0 | 7.0 |
| 2005 | 1.5 | 0.9 | 0.3 | 0.0 | 1.4 | 0.9 | -0.2 | 0.8 | 0.0 | -1.7 | 1.4 | 0.0 | 5.2 |
| 2006 | 0.5 | 0.5 | 0.0 | -1.5 | 2.1 | 0.0 | -0.5 | -0.5 | 0.0 | -0.9 | -0.2 | 0.0 | -0.5 |
| 2007 | -0.1 | -0.6 | 0.0 | -0.5 | 0.0 | 0.0 | 1.6 | 0.0 | 2.7 | -3.6 | 0.0 | 0.0 | -0.7 |
| 2008 | 3.9 | 0.0 | 4.9 | 2.4 | 0.0 | 0.6 | 0.2 | 0.0 | -1.5 | 0.0 | -20.6 | 0.0 | -12.1 |
| 2009 | 0.0 | 0.0 | -0.9 | -3.4 | 4.2 | 1.0 | 0.0 | -5.1 | -4.2 | 0.0 | 1.3 | 0.0 | -7.3 |
| 2010 | 1.8 | 1.0 | 0.5 | 0.0 | -1.9 | -0.2 | 0.0 | 3.2 | 0.5 | 0.7 | 0.8 | 0.0 | 6.4 |
| 2011 | 0.5 | -2.7 | 0.2 | 0.0 | -2.8 | 1.8 | -1.3 | -1.7 | 0.0 | -3.4 | -1.0 | 0.0 | -10.0 |
| 2012 | 0.7 | 0.5 | 0.0 | 0.9 | -2.5 | 0.0 | -0.3 | 0.0 | -0.7 | 0.1 | 0.0 | 0.0 | -1.3 |
| 2013 | 0.7 | 0.2 | 0.3 | -0.7 | 0.0 | -0.5 | -0.6 | 0.0 | 1.5 | 0.6 | 0.0 | 0.0 | 1.6 |
| 2014 | 0.0 | 0.0 | 0.6 | 0.8 | 0.0 | 0.3 | -0.2 | 0.0 | 0.1 | 0.0 | -0.4 | 0.0 | 1.2 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.5 | 1.0 | 1.5 | 0.0 | -1.9 | 0.5 | 0.0 | 1.2 | 0.0 | 2.8 |
| 2016 | 0.0 | 2.6 | 0.1 | 0.0 | 0.1 | -0.1 | 0.4 | -0.2 | 0.0 | -2.2 | -1.6 | 0.0 | -1.0 |
| 2017 | -1.2 | -0.3 | 0.0 | 0.6 | 0.4 | 0.0 | 0.4 | 0.0 | 0.0 | 0.1 | 0.2 | 0.0 | 0.2 |
| 2018 | -1.7 | -0.3 | 0.0 | 0.7 | 0.3 | 0.0 | 0.3 | 0.0 | -0.8 | 0.4 | 0.0 | 0.0 | -1.1 |
| 2019 | -0.7 | -0.2 | 0.0 | -0.1 | 0.0 | 0.3 | -0.1 | 0.0 | -1.1 | -0.1 | 0.0 | 0.3 | -1.6 |
Row
Rolling Performance Chart
Snail Trail Chart
